Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
86.155%
Drawdown
79.700%
Expectancy
0
Start Equity
10000.00
End Equity
258796.70
Net Profit
2487.967%
Sharpe Ratio
1.815
Sortino Ratio
2.713
Probabilistic Sharpe Ratio
67.077%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.423
Beta
0.918
Annual Standard Deviation
0.733
Annual Variance
0.537
Information Ratio
0.691
Tracking Error
0.495
Treynor Ratio
1.45
Total Fees
₮15.90
Estimated Strategy Capacity
₮440000.00
Lowest Capacity Asset
BTCUSDT 18R
Portfolio Turnover
0.08%
 
# region imports
from AlgorithmImports import *
# endregion

class CryptoFutureAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2020, 4, 1)
        # Set brokerage and account type to match your brokerage environment for accurate fee and margin behavior.
        self.set_brokerage_model(BrokerageName.BINANCE, AccountType.MARGIN)
        # In the Binance brokerage, you can't trade with USD.
        # Set the account currency as USDT and add the starting cash.
        self.set_account_currency("USDT", 10000)
        # Subscribe to the BTCUSDT perpetual Future contract.
        self._symbol = self.add_crypto_future("BTCUSDT").symbol
        
    def on_data(self, slice: Slice) -> None:
        # Only place orders when market is open since market on open orders aren't supported.
        if not self.portfolio.invested and self.is_market_open(self._symbol):
            # Get the lot size from the symbol properties. Placing an order that respects the lot size 
            # ensures the order is valid and allows accurate profit and risk calculations for the whole portfolio.
            lot_size = self.securities[self._symbol].symbol_properties.lot_size
            # This example demonstrates an initial desired order size of 2.5 contracts, which will be rounded 
            # to 2 contracts since the lot size is 1.
            quantity = 2.5 // lot_size * lot_size
            self.market_order(self._symbol, quantity)